Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors
This paper provides the limit theory of real time dating algorithms for bubble detection that were suggested in Phillips, Wu and Yu (2011, PWY) and Phillips, Shi and Yu (2013b, PSY). Bubbles are modeled using mildly explosive bubble episodes that are embedded within longer periods where the data evo...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2013
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/1511 https://ink.library.smu.edu.sg/context/soe_research/article/2510/viewcontent/05_2013.pdf |
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| Institution: | Singapore Management University |
| Language: | English |